基于计算实验方法的金融市场信息传播研究

发布时间：2018-06-14 18:36

本文选题：信息传播 + 网络结构　；参考：《天津财经大学》2012年硕士论文

【摘要】：Web2.0时代的到来,不但改变了日常生活中人类的信息获取方式,同时也对金融市场的信息传播产生了深远的影响。一方面,传统媒体发布公告的信息传播渠道正在被更加公开和迅捷的互联网渠道取代,金融市场中信息源的异质性特征更加明显。另一方面,信息传播渠道的自由不断提高,新的市场风险也随之产生。与Web2.0时代之前的信息传播环境相比,更加复杂的信息传播网络和更为自由的信息传播环境都迫切要求人们进一步准确认识当代金融市场的信息传播过程及其对价格的影响规律,并利用这些规律管理实践中不断出现的新的市场风险。为了更有效的开展研究,本文把“信息传播”定义为股票市场全部信息的一个特定子集,仅包括个体间交互的消息、新闻、流言等。通过实证分析和理论建模,本文对金融市场中信息传播及信息网络对资产价格的影响进行研究。本文发现信息的传播数量和信息网络结构对资产价格日内收益率波动有显著影响。这种信息传播数量和网络结构的影响有可能为股票市场信息操纵鉴定提供一个新的思路。此外信息传播过程中关键节点的数量和关键节点的转发率对资产价格日内收益率波动有显著影响,并且存在高度的正相关。同时本文通过计算实验建模还发现信息传递网络结构对个体财富有重要影响。本文对知情交易者和信息搜寻者的信息渠道进行统计后发现,随着agent的连接个数增加,知情交易者和信息搜寻者的每期平均财富呈现出了不同的规律。从信息传递结构考虑,传播信息渠道广的知情交易者更容易实现对市场的控制,连接的信息搜寻者越多,每期的平均财富越大。而对于喜欢寻找二手信息的信息搜寻者来说,信息源越多,则其每期的平均财富越小。
[Abstract]:The arrival of Web 2.0 not only changes the way of obtaining information in daily life, but also has a profound influence on the information dissemination of financial market. On the one hand, the information dissemination channels published by traditional media are being replaced by more open and rapid Internet channels, and the heterogeneity of information sources in the financial market is more obvious. On the other hand, the freedom of the information dissemination channel improves continuously, the new market risk also produces along with it. Compared with the information dissemination environment before the Web 2.0 era, the more complex information dissemination network and the freer information dissemination environment urgently require people to understand more accurately the information dissemination process of the contemporary financial market and its influence law on the price. And make use of these laws to manage the new market risk that appears constantly in practice. In order to carry out the research more effectively, this paper defines "information dissemination" as a specific subset of all information in the stock market, which includes only the messages, news, gossip and so on. Through empirical analysis and theoretical modeling, this paper studies the influence of information dissemination and information network on asset prices in financial markets. This paper finds that the amount of information propagation and information network structure have a significant impact on the intraday return volatility of asset prices. This kind of information dissemination quantity and the influence of network structure may provide a new idea for stock market information manipulation and identification. In addition, the number of key nodes and the forwarding rate of key nodes in the process of information dissemination have a significant impact on the intraday return volatility of asset prices, and there is a high positive correlation. At the same time, we also find that the network structure of information transmission has an important influence on individual wealth. Based on the statistics of the information channels of informed traders and information searchers, it is found that with the increase of the number of agent connections, the average wealth of informed traders and information searchers presents different rules. Considering the information transmission structure, informed traders with wide information channels are more likely to control the market. The more information searchers connect, the greater the average wealth of each period is. For information searchers who prefer to search for second-hand information, the more information sources, the smaller the average wealth per issue.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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